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Volatility spillovers among the U.S. and Asian stock markets : a comparison between the periods of Asian currency crisis and subprime credit crisis
Lien, Da-hsiang Donald; Lee, Geul; Li, Yang; Zhang, Yuyin - In: The North American journal of economics and finance : a … 46 (2018), pp. 187-201
Persistent link: https://www.econbiz.de/10012036617
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Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets
Hui, Cho H.; Lo, Chi-Fai; Chau, Po-Hon - In: The North American journal of economics and finance : a … 44 (2018), pp. 109-128
Persistent link: https://www.econbiz.de/10012036515
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Time-varying effects of macroeconomic news on euro-dollar returns
Ben Omrane, Walid; Savaser, Tanseli; Welch, Robert L.; … - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-20
Persistent link: https://www.econbiz.de/10012201385
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The impact of banking and sovereign debt crisis risk in the eurozone on the euro/US dollar exchange rate
Eichler, Stefan - In: Applied financial economics 22 (2012) 13/15, pp. 1215-1232
Persistent link: https://www.econbiz.de/10009625379
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Backtesting the tail risk of VaR in holding US dollar
Wong, Woon K. - In: Applied financial economics 19 (2009) 4/6, pp. 327-337
Persistent link: https://www.econbiz.de/10003828498
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Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads
Tsuruta, Masaru - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-30
Persistent link: https://www.econbiz.de/10012659594
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Risk spillovers between global corporations and Latin American sovereigns : global factors matter
Gómez González, José Eduardo; Uribe, Jorge; … - 2022
This paper studies volatility spillovers in credit default swaps (CDS) between the corporate sectors and Latin American countries. Daily data from October 14, 2006, to August 23, 2021, are employed. Spillovers are computed both for the raw data and for filtered series which factor out the effect...
Persistent link: https://www.econbiz.de/10014495999
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The European crisis in the context of the history of previous financial crises
Bordo, Michael D.; James, Harold - In: Journal of macroeconomics 39 (2014) 2, pp. 275-284
Persistent link: https://www.econbiz.de/10010494056
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Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis
Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Hum, … - In: Applied financial economics 21 (2011) 13/15, pp. 997-1003
Persistent link: https://www.econbiz.de/10009317447
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A Markov regime switching model of crises and contagion : the case of the Iberian countries in the EMS
Lopes, José Mário; Nunes, Luis C. - In: Journal of macroeconomics 34 (2012) 4, pp. 1141-1153
Persistent link: https://www.econbiz.de/10009703298